QLD Options History — March 2015 In March 2015, QLD traded between $4.40 and $4.77. ATM implied volatility averaged 29.1%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.8% (HV 20d: 24.3%). Max pain ranged from $4.00 to $4.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2015-03-26 : Highest Volume — 121,728 contracts2015-03-25 : Largest IV spike — 33.0% change2015-03-10 : Highest IV Rank — 47.2%2015-03-11 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $4.58 $4.40 $4.77 $4.77 $4.46 Max Pain $4.13 $4.00 $4.41 $4.38 $4.22 ATM IV 29.1% 22.3% 35.2% 22.3% 32.9% Expected Move 8.3% 6.4% 9.8% 6.4% 9.4% HV 20d 24.3% 19.1% 30.3% 19.1% 30.3% HV 60d 30.2% 28.6% 31.3% 30.8% 30.4% IV Rank 32.6% 16.1% 47.2% 16.1% 41.6% IV Percentile 56.5% 13.9% 86.9% 13.9% 76.2% Term Structure 2.0% -1.0% 6.1% 3.0% -0.4% VWIV 30.7% 22.9% 39.9% 22.9% 32.5% Skew 25d 8.2% 3.2% 12.8% 3.2% 9.1% Skew 10d 17.0% 11.4% 27.1% 11.4% 16.7% Call IV 25d 25.4% 21.1% 30.2% 22.9% 26.3% Put IV 25d 33.6% 26.1% 38.7% 26.1% 35.4% Bid-Ask Spread % 60.78 43.22 78.45 78.45 74.27 Gamma HHI 0.11 0.04 0.87 0.06 0.10 Net GEX 1.5M 474.1K 14.3M 909.8K 885.1K Net DEX -45.4M -63.4M -32.4M -56.9M -38.1M Net VEX -153.2K -186.0K -133.3K -137.1K -183.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.18 6.74 1.08 1.19 Total Volume 47,424 5,824 121,728 97,216 116,448 Total OI 346,240 307,904 389,632 320,256 370,336
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-03-02 $4.77 $4.38 22.3% 6.4% 19.1% 16.1% 22.9% 3.2% 3.0% 909.8K -56.9M -137.1K 1.08 78.45 N/A N/A 46,720 50,496 179,136 141,120 2015-03-03 $4.73 $4.38 24.3% 7.0% 19.7% 20.9% 24.9% 7.1% 3.4% 862.2K -53.7M -142.3K 1.10 74.03 N/A N/A 45,824 50,400 180,928 141,632 2015-03-04 $4.69 $4.41 26.7% 7.6% 19.6% 26.7% 25.9% 7.2% 0.3% 775.3K -51.0M -143.8K 0.98 73.89 N/A N/A 49,248 48,480 181,216 144,768 2015-03-05 $4.71 $4.00 26.7% 7.8% 19.3% 26.9% 31.6% 8.1% 3.2% 855.0K -53.5M -151.4K 0.98 57.90 N/A N/A 47,872 46,880 185,408 144,160 2015-03-06 $4.59 $4.00 32.0% 8.9% 21.6% 39.4% 35.0% 10.6% -0.9% 747.7K -46.4M -156.4K 1.07 59.16 N/A N/A 46,880 49,984 186,272 145,408 2015-03-09 $4.62 $4.00 29.4% 8.3% 20.6% 33.4% 39.9% 8.9% 3.5% 775.1K -48.1M -151.1K 0.36 43.22 N/A N/A 8,864 3,168 186,912 146,656 2015-03-10 $4.46 $4.00 35.2% 9.3% 25.1% 47.2% 37.8% 9.7% 1.5% 744.1K -39.0M -157.6K 2.29 44.46 N/A N/A 4,896 11,200 194,784 147,936 2015-03-11 $4.40 $4.00 34.3% 9.8% 23.5% 45.0% 39.4% 9.5% 0.7% 581.2K -35.0M -152.0K 2.05 45.53 N/A N/A 2,688 5,504 195,776 152,416 2015-03-12 $4.46 $4.00 29.6% 8.5% 23.9% 33.8% 31.5% 10.3% 2.0% 610.4K -36.4M -154.0K 3.23 49.74 N/A N/A 1,376 4,448 196,672 156,864 2015-03-13 $4.42 $4.00 33.7% 9.7% 22.5% 43.7% 30.2% 8.2% 0.1% 474.1K -33.4M -157.5K 0.72 48.01 N/A N/A 4,704 3,392 197,248 159,424 2015-03-16 $4.54 $4.03 30.7% 8.8% 23.8% 36.4% 30.7% 7.5% 0.5% 766.6K -43.6M -146.0K 0.38 48.67 N/A N/A 6,272 2,400 199,040 162,016 2015-03-17 $4.55 $4.03 31.3% 9.0% 23.8% 37.7% 31.6% 7.7% 0.1% 993.6K -45.0M -142.3K 0.21 49.99 N/A N/A 7,328 1,504 202,624 162,240 2015-03-18 $4.64 $4.03 26.0% 7.4% 24.8% 25.1% 35.5% 12.8% 4.1% 1.6M -53.1M -143.5K 6.74 74.62 N/A N/A 4,000 26,944 205,504 163,456 2015-03-19 $4.65 $4.03 27.3% 7.8% 24.5% 28.2% 27.5% 7.9% 4.1% 1.6M -54.5M -140.7K 0.53 56.72 N/A N/A 10,592 5,664 206,304 173,344 2015-03-20 $4.72 $4.09 24.0% 6.9% 24.5% 20.4% 24.3% 7.0% 6.1% 14.3M -63.4M -133.3K 0.18 64.95 N/A N/A 28,192 4,992 211,136 178,496 2015-03-23 $4.69 $4.16 24.4% 7.0% 24.6% 21.3% 25.8% 6.7% 5.2% 1.0M -51.2M -142.6K 1.11 61.39 N/A N/A 6,720 7,456 184,992 122,912 2015-03-24 $4.66 $4.22 24.3% 7.0% 24.7% 21.1% 23.1% 7.8% 5.0% 1.0M -50.1M -147.5K 0.55 65.10 N/A N/A 7,072 3,904 189,216 126,080 2015-03-25 $4.44 $4.22 32.3% 9.3% 29.8% 40.3% 29.7% 3.6% -0.6% 815.7K -38.7M -151.5K 2.42 71.05 N/A N/A 8,384 20,256 194,624 128,416 2015-03-26 $4.42 $4.22 33.9% 9.7% 29.4% 44.0% 33.5% 10.5% 1.0% 584.4K -32.4M -169.2K 1.09 60.94 N/A N/A 58,240 63,488 199,744 142,848 2015-03-27 $4.45 $4.22 31.2% 8.9% 29.5% 37.5% 32.5% 9.2% -1.0% 690.4K -33.8M -186.0K 0.74 67.18 N/A N/A 4,864 3,584 210,592 151,328 2015-03-30 $4.55 $4.22 28.0% 8.0% 29.8% 29.8% 30.3% 7.9% 2.3% 951.4K -41.6M -181.5K 1.12 67.89 N/A N/A 52,832 59,168 213,888 153,408 2015-03-31 $4.46 $4.22 32.9% 9.4% 30.3% 41.6% 32.5% 9.1% -0.4% 885.1K -38.1M -183.3K 1.19 74.27 N/A N/A 53,056 63,392 216,320 154,016
« Feb 2015 | All History | Apr 2015 » Home QLD History March 2015